An Update on EMU Sovereign Yield Spread Drivers in Times of Crisis: A Panel Data Analysis
We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2014 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/34691 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/34691 |
| Access Level: | acceso abierto |
| Palabra clave: | C33 C52 E44 F36 G15 Sovereign bond spreads Panel data Eurozonea Crisis económicas Econometría (Economía) Economía internacional Economía pública 5307.06 Fluctuaciones Económicas 5302 Econometría 5310 Economía Internacional |
| Sumario: | We empirically investigate the determinants of EMU sovereign bond yield spreads with respect to the German bund. Using panel data techniques, we examine the role of a wide set of potential drivers. To our knowledge, this paper presents one of the most exhaustive compilations of the variables used in the literature to study the behaviour of sovereign yield spreads and, in particular, to gauge the effect on these spreads of changes in market sentiment and risk aversion. We use a sample of both central and peripheral countries from January 1999 to December 2012 and assess whether there were significant changes after the outbreak of the euro area debt crisis. Our results suggest that the rise in sovereign risk in central countries can only be partially explained by the evolution of local macroeconomic variables in those countries. Besides, without exception, the marginal effects of sovereign spread drivers (specifically, the variables that measure global market sentiment) increased during the crisis compared to the pre-crisis period, especially in peripheral countries. |
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